Black-Scholes Full Greeks Suite

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/bs/greeks-full \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "option_type": "call"
}
'

{
  "success": true,
  "data": {
    "price": 7.853,
    "delta": 0.5234,
    "gamma": 0.0156,
    "vega": 32.862,
    "theta": -0.0123,
    "rho": 42.156,
    "vanna": -0.245,
    "volga": 82.156
  }
}

quantlib-pricing

Black-Scholes Full Greeks Suite

Calculate complete suite of Black-Scholes Greeks including price and all first-order and second-order risk sensitivities. This is the most comprehensive Greeks calculation endpoint.

Greeks Calculated:

Price: Option theoretical value
Delta: Sensitivity to underlying price (∂V/∂S)
Gamma: Sensitivity of delta to underlying price (∂²V/∂S²)
Vega: Sensitivity to volatility (∂V/∂σ)
Theta: Sensitivity to time decay (∂V/∂t)
Rho: Sensitivity to interest rate (∂V/∂r)
Vanna: Cross-sensitivity to spot and volatility (∂²V/∂S∂σ)
Volga: Sensitivity of vega to volatility (∂²V/∂σ²)

Use Cases:

Complete risk management analysis
Portfolio hedging calculations
Option trading strategy evaluation
Greeks-based position monitoring

Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]

POST

quantlib

pricing

greeks-full

Black-Scholes Full Greeks Suite

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/bs/greeks-full \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "option_type": "call"
}
'

{
  "success": true,
  "data": {
    "price": 7.853,
    "delta": 0.5234,
    "gamma": 0.0156,
    "vega": 32.862,
    "theta": -0.0123,
    "rho": 42.156,
    "vanna": -0.245,
    "volga": 82.156
  }
}

Authorizations

X-API-Key

string

header

required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

spot

number

required

Current price of the underlying asset

Example:

100

strike

number

required

Strike price of the option

Example:

105

risk_free_rate

number

required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

volatility

number

required

Annualized volatility (decimal format)

Example:

0.25

time_to_maturity

number

required

Time to expiration in years

Example:

1

dividend_yield

number

default:0

Continuous dividend yield (annualized, decimal format)

Example:

0.02

option_type

enum<string>

default:call

Type of option

Available options:

call,

put

Example:

"call"

Response

Successful calculation

success

boolean

Example:

true

data

object

Show child attributes

Black-Scholes Implied Volatility

Black-Scholes Digital Call (Cash-or-Nothing)